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Journal ArticleDOI

Has futures trading activity caused stock price volatility

Ali F. Darrat, +1 more
- 01 Aug 1995 - 
- Vol. 15, Iss: 5, pp 537-557
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This article is published in Journal of Futures Markets.The article was published on 1995-08-01. It has received 118 citations till now. The article focuses on the topics: Futures contract & Volatility smile.

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Price Discovery and Volatility Spillovers in Index Futures Markets: Some Evidence from Mexico

TL;DR: In this paper, the authors investigated the hypotheses that the recently established Mexican stock index futures market effectively serves the price discovery function, and that the introduction of futures trading has provoked volatility in the underlying spot market.
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Index futures and positive feedback trading : evidence from major stock exchanges.

TL;DR: In this article, the authors test the hypothesis that the introduction of index futures has increased positive feedback trading in the spot markets of six industrialized nations and find no evidence that positive feedback traders migrated from the spot to the futures markets.
Journal ArticleDOI

Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico

TL;DR: In this paper, the authors investigated the hypotheses that the recently established Mexican stock index futures market effectively serves the price discovery function, and that the introduction of futures trading has provoked volatility in the underlying spot market.
Journal ArticleDOI

Telecommunications and Economic Activity: An Analysis of Granger Causality

TL;DR: The evidence for causality from levels of telecommunications infrastructure to economic activity is stronger than that for causability in the opposite direction, and this pattern appears to hold for both industrialized and developing economies, even though the former has strong service sectors that are heavily dependent on telecommunications.
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Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH

TL;DR: In this article, the authors analyzed the effect of the introduction of stock index futures on the volatility of the Italian Stock Exchange and found that the impact of futures onset on the underlying market volatility is likely to be immediate.
References
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Journal ArticleDOI

Co-integration and Error Correction: Representation, Estimation and Testing

TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
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Distribution of the Estimators for Autoregressive Time Series with a Unit Root

TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
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Investigating Causal Relations by Econometric Models and Cross-Spectral Methods

TL;DR: In this article, the cross spectrum between two variables can be decomposed into two parts, each relating to a single causal arm of a feedback situation, and measures of causal lag and causal strength can then be constructed.
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Economic Forces and the Stock Market

TL;DR: In this paper, the authors test whether innovations in macroeconomic variables are risks that are rewarded in the stock market, and they find that these sources of risk are significantly priced and neither the market portfolio nor aggregate consumption are priced separately.
Journal Article

Spectral Analysis and Time Series

TL;DR: In this article, the authors introduce the concept of Stationary Random Processes and Spectral Analysis in the Time Domain and Frequency Domain, and present an analysis of Processes with Mixed Spectra.